Regulation and Market Liquidity

Published Online:https://doi.org/10.1287/mnsc.2017.2876

References

  • Adrian T, Fleming M, Shachar O, Vogt E (2016) Market liquidity after the financial crisis. Federal Reserve Bank of New York Staff Reports.Google Scholar
  • Ahn SC, Horenstein AR (2013) Eigenvalue ratio test for the number of factors. Econometrica 81(3):1203–1227.CrossrefGoogle Scholar
  • Amihud Y, Mendelson H (1986) Asset pricing and the bid-ask spreads. J. Financial Econom. 17(2):223–249.CrossrefGoogle Scholar
  • Amihud Y, Mendelson H, Pedersen LH (2006) Liquidity and Asset Prices (Now Publishers, Boston).Google Scholar
  • Anderson M, Stulz RM (2017) Is post-crisis bond liquidity lower? Fisher College of Business Working Paper 2017-03-009, Ohio State University, Columbus.CrossrefGoogle Scholar
  • Andrews DWK (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61(4):821–856.CrossrefGoogle Scholar
  • Andrews DWK, Ploberger W (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62(6):1383–1414.CrossrefGoogle Scholar
  • Bai J, Ng S (2002) Determining the number of factors in approximate factor models. Econometrica 70(1):191–221.CrossrefGoogle Scholar
  • Bai J, Perron P (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66(1):47–78.CrossrefGoogle Scholar
  • Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J. Appl. Econometrics 18(1):1–22.CrossrefGoogle Scholar
  • Bao J, Jun P, Jiang W (2011) The illiquidity of corporate bonds. J. Finance 66(3):911–946.CrossrefGoogle Scholar
  • Barr MS (2012) The financial crisis and the path of reform. Yale J. Regulation 29:91–120.Google Scholar
  • Bertrand M, Bombardini M, Trebbi F (2015) Lobbying the Dodd-Frank Act of 2010. Mimeo, University of British Columbia, British Columbia, Canada.Google Scholar
  • Bessembinder H, Jacobsen S, Maxwell W, Venkataramman K (2016) Capital commitment and illiquidity in corporate bonds. Working paper, Carey School of Business, Arizona State University, Tempe.Google Scholar
  • Brunnermeier MK, Pedersen LH (2009) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.CrossrefGoogle Scholar
  • Chen L, Dolado JJ, Gonzalo J (2014) Detecting big structural breaks in large factor models. J. Econometrics 180(1):30–48.CrossrefGoogle Scholar
  • Coates JC, IV (2015) Cost-benefit analysis of financial regulation: Case studies and implications. Yale Law J. 124(4):882–1345.Google Scholar
  • Cochrane JH (2014) Challenges for cost-benefit analysis of financial regulation. J. Legal Stud. 43(S2):S63–S105.CrossrefGoogle Scholar
  • Dick-Nielsen J (2014) How to clean enhanced TRACE data. Working paper, Copenhagen Business School, Frederiksberg, Denmark.Google Scholar
  • Dick-Nielsen J, Feldhütter P, Lando D (2012) Corporate bond liquidity before and after the onset of the subprime crisis. J. Financial Econom. 103(3):471–492.CrossrefGoogle Scholar
  • Dudley WC (2015) Regulation and liquidity provision. Remarks at the SIFMA Liquidity Forum, New York City, September 30, 2015.Google Scholar
  • Duffie D (2012) Market making under the proposed Volcker Rule. Working Paper 3118, Stanford Graduate School of Business, Stanford, CA.Google Scholar
  • Duffie D (2016) Submission in response to U.S. Treasury Notice seeking public comment on the evolution of the Treasury Market structure.Google Scholar
  • Duffie D, Garleanu N, Pedersen L (2005) Over-the-counter markets. Econometrica 73(6):1815–1847.CrossrefGoogle Scholar
  • Edwards AK, Harris LE, Piwowar MS (2007) Corporate bond market transaction costs and transparency. J. Finance 62(3):1421–1451.CrossrefGoogle Scholar
  • Feldhütter P (2011) The same bond at different prices: Identifying search frictions and selling pressures. Rev. Financial Stud. 25(4):1155–1206.CrossrefGoogle Scholar
  • Frieden J (2015) The political economy of adjustment and rebalancing. J. Internat. Money Finance 52:4–14.CrossrefGoogle Scholar
  • Getter DE (2014) U.S. implementation of the Basel capital regulatory framework. Report, Congressional Research Service, Library of Congress, Washington, DC.Google Scholar
  • Greenspan A (2015) More capital is a less painful way to fix the banks. Financial Times (August 17), https://www.ft.com/content/4d55622a-44c8-11e5-af2f-4d6e0e5eda22.Google Scholar
  • Griffin K (2015) Overlooking the other sources of liquidity. Wall Street Journal (July 26), https://www.wsj.com/articles/overlooking-the-other-sources-of-liquidity-1437950015.Google Scholar
  • Gromb D, Vayanos D (2002) Equilibrium and welfare in markets with financially constrained arbitrageurs. J. Financial Econom.66(2–3):361–407.CrossrefGoogle Scholar
  • Grossman S, Miller M (1988) Liquidity and market structure. J. Finance 43(3):617–637.CrossrefGoogle Scholar
  • Grossman S, Stiglitz J (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
  • Hansen BE (2001) The new econometrics of structural change: Dating breaks in U.S. labour productivity. J. Econom. Perspect. 15(4):117–128.CrossrefGoogle Scholar
  • Heckman JJ, Ichimura H, Todd P (1997) Matching as an econometric evaluation estimator: Evidence from evaluating a job training programme. Rev. Econom. Stud. 64(4):605–654.CrossrefGoogle Scholar
  • Heckman JJ, Ichimura H, Smith J, Todd P (1998) Characterizing selection bias using experimental data. Econometrica 66:1017–1099.CrossrefGoogle Scholar
  • Hendershott T, Madhavan A (2015) Click or call? Auction versus search in the over-the-counter market. J. Finance 70(1):419–447.CrossrefGoogle Scholar
  • Hu GX, Pan G, Wang J (2013) Noise as information for illiquidity. J. Finance 68(6):2341–2382.CrossrefGoogle Scholar
  • Huh Y, Infante S (2017) Bond market intermediation and the role of repo (2017-01). FEDS Working Paper 2017-003, Board of Governors of the Federal Reserve System, Washington, DC.Google Scholar
  • Kaiser RG (2013) Act of Congress: How America’s Essential Institution Works, and How It Doesn’t (Knopf, New York).Google Scholar
  • Krishnamurthy A (2002) The bond/old-bond spread. J. Financial Econom. 66(2):463–506.CrossrefGoogle Scholar
  • Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.CrossrefGoogle Scholar
  • Loon YC, Zhong Z(K) (2016) Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports. J. Financial Econom. 119(3):645–672.CrossrefGoogle Scholar
  • McCarty N, Poole K, Rosenthal H (2013) Political Bubbles: Financial Crises and the Failure of American Democracy (Princeton University Press, Princeton, NJ).CrossrefGoogle Scholar
  • McConnell MM, Perez-Quiros G (2000) Output fluctuations in the United States: What has changed since the early 1980’s? Amer. Econom. Rev. 90(5):1464–1476.CrossrefGoogle Scholar
  • Mian A, Sufi A, Trebbi F (2010) The political economy of the US mortgage default crisis. Amer. Econom. Rev. 100(5):1967–98.CrossrefGoogle Scholar
  • Mian A, Sufi A, Trebbi F (2014) Resolving debt overhang: Political constraints in the aftermath of financial crises. Amer. Econom. J. Macroeconom. 6(2):1–28.CrossrefGoogle Scholar
  • Mitchell M, Pulvino T (2012) Arbitrage crashes and the speed of capital. J. Financial Econom. 104(3):469–490.CrossrefGoogle Scholar
  • Mizrach B (2015) Analysis of corporate bond liquidity. FINRA Office of the Chief Economist Research Note.Google Scholar
  • Newey W, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.CrossrefGoogle Scholar
  • Nixon S (2015) Why liquidity-starved markets fear the worst. Wall Street Journal (May 20), https://www.wsj.com/articles/why-liquidity-starved-markets-fear-the-worst-1432153849.Google Scholar
  • Posner E, Weyl EG (2013) Benefit-cost analysis for financial regulation. Amer. Econom. Rev. Papers Proc. 103(3):1–5.Google Scholar
  • Roll R (1984) A simple implicit measure of the effective bid-ask spread in an efficient market. J. Finance 39(4):1127–1139.CrossrefGoogle Scholar
  • Smith J, Todd P (2005) Does matching overcome LaLonde’s critique of nonexperimental estimators?. J. Econometrics 125(1–2):305–353.CrossrefGoogle Scholar
  • Stock JH, Watson MW (2002) Forecasting using principal components from a large number of predictors. J. Amer. Statist. Assoc. 97(460):1167–1179.CrossrefGoogle Scholar
  • Stock JH, Watson MW (2011) Dynamic factor models. Michael PC, Hendry DF, eds. Oxford Handbook of Forecasting (Oxford University Press, Oxford, UK), 35–60.CrossrefGoogle Scholar
  • Thakor V (2012) The economic consequences of the Volcker Rule. Working paper, Center for Capital Markets Competitiveness, Olin Business School, Washington University in St. Louis, St. Louis.Google Scholar
  • Vayanos D, Wang J (2012) Market liquidity—Theory and empirical evidence. NBER Working Paper 18251, National Bureau of Economic Research, Cambridge, MA.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.